住房抵押贷款的偿还能力风险和理性违约风险

The Default Risk of Mortgage Due to Payment Capabilities and Rational Default

宏观经济和房价的同步下行,对个人住房抵押贷款同时构成偿还能力风险与理性违约风险。前者是由于宏观经济恶化,借款人收入的现金流下降所导致的,而后者是由于房价下跌,房屋的市场价值小于贷款金额所导致的。本文利用个人住房抵押贷款的账户级别数据,区分和度量了上述两种风险对于违约行为的影响,从而对宏观因素和房价波动对住房抵押贷款违约行为的传导机制给予了更加清晰和准确的描述。

The decline of macro economy and house price will have the impact on default risk of residential mortgage due to that the borrower＇ payment capacity shrinks, as well as he choose to rational default. The former risk is caused by the decline of the cash flow of borrower＇ s income, while the latter one is due to the rational choice when the market value of the collater- al is below the loan amount. This paper uses an account-level data of mortgage in China, identifies and measures the impact of such two kinds of risk on the default behavior, respectively. That provides a more clear and accurate description on the trans- mission mechanism from the fluctuation of macroeconomic factor and house price to the default behavior of mortgage